Stata 15 help for spivregress_postestimation

[SP] spivregress postestimation -- Postestimation tools for spivregress

Postestimation commands

The following postestimation command is of special interest after spivregress:

Command Description ------------------------------------------------------------------------- estat impact direct, indirect, and total impacts -------------------------------------------------------------------------

The following postestimation commands are also available:

Command Description ------------------------------------------------------------------------- contrast contrasts and ANOVA-style joint tests of estimates estat summarize summary statistics for the estimation sample estat vce variance-covariance matrix of the estimators (VCE) estimates cataloging estimation results lincom point estimates, standard errors, testing, and inference for linear combinations of coefficients margins marginal means, predictive margins, marginal effects, and average marginal effects marginsplot graph the results from margins (profile plots, interaction plots, etc.) nlcom point estimates, standard errors, testing, and inference for nonlinear combinations of coefficients predict predictions, residuals, influence statistics, and other diagnostic measures predictnl point estimates, standard errors, testing, and inference for generalized predictions pwcompare pairwise comparisons of estimates test Wald tests of simple and composite linear hypotheses testnl Wald tests of nonlinear hypotheses -------------------------------------------------------------------------

Syntax for predict

predict [type] newvar [if] [in] [, statistic]

statistic Description ------------------------------------------------------------------------- Main rform reduced-form mean; the default direct direct mean indirect indirect mean limited limited-information mean full full-information mean naive naive-form prediction xb linear prediction residuals residuals ucresiduals uncorrelated residuals ------------------------------------------------------------------------- These statistics are only available in a subset of the estimation sample.

Menu for predict

Statistics > Postestimation

Description for predict

predict creates a new variable containing predictions such as the reduced-form mean, the direct mean, the indirect mean, the limited-information mean, the full-information mean, the naive-form prediction, the linear prediction, the residuals, or the uncorrelated residuals.

Options for predict

+------+ ----+ Main +-------------------------------------------------------------

rform, the default, calculates the reduced-form mean. It is the predicted mean of the dependent variable conditional on the independent variables and any spatial lags of the independent variables. See Methods and formulas.

direct calculates the direct mean. It is a unit's predicted contribution to its own reduced-form mean. The direct and indirect means sum to the reduced-form mean.

indirect calculates the indirect mean. It is the predicted sum of the other units' contributions to a unit's reduced-form mean.

limited calculates the limited-information mean. It is the predicted mean of the dependent variable conditional on the independent variables, any spatial lags of the independent variables, and any spatial lags of the dependent variable. limited is not available when the heteroskedastic option is used with spivregress.

full calculates the full-information mean. It is the predicted mean of the dependent variable conditional on the independent variables, any spatial lags of the independent variables, and the other units' values of the dependent variable. full is not available when the heteroskedastic option is used with spivregress.

naive calculates the naive-form prediction. It is the predicted linear combination of the independent variables, any spatial lags of the independent variables, and any spatial lags of the dependent variable. It is not a consistent estimator of an expectation. See Methods and formulas.

xb calculates the predicted linear combination of the independent variables.

residuals calculates the residuals, including any autoregressive error term.

ucresiduals calculates the uncorrelated residuals, which are estimates of the uncorrelated error term.

Syntax for margins

margins [marginlist] [, options]

margins [marginlist] , predict(statistic ...) [predict(statistic ...) ...] [options]

statistic Description ------------------------------------------------------------------------- rform reduced-form mean; the default direct direct mean indirect indirect mean xb linear prediction limited not allowed with margins full not allowed with margins naive not allowed with margins residuals not allowed with margins ucresiduals not allowed with margins -------------------------------------------------------------------------

Statistics not allowed with margins are functions of stochastic quantities other than e(b).

For the full syntax, see [R] margins.

Menu for margins

Statistics > Postestimation

Description for margins

margins estimates margins of response for reduced-form mean, direct mean, indirect mean, and linear predictions.

Syntax for estat impact

estat impact [varlist] [if] [in] [, nolog vce(vcetype)]

varlist is a list of independent variables, including factor variables, taken from the fitted model. By default, all independent variables from the fitted model are used.

Description for estat impact

estat impact estimates the mean of the direct, indirect, and total impacts of independent variables on the reduced-form mean of the dependent variable.

Options for estat impact

+------+ ----+ Main +-------------------------------------------------------------

nolog suppresses the calculation progress log that shows the percentage completed. By default, the log is displayed.

+-----+ ----+ VCE +--------------------------------------------------------------

vce(vcetype) specifies how the standard errors of the impacts are calculated.

vce(delta), the default, is the delta method and treats the independent variables as fixed.

vce(unconditional) specifies that standard errors account for sampling variance in the independent variables. This option is not available when if or in is specified with estat impact.

Examples

Setup . copy http://www.stata-press.com/data/r15/dui_southern.dta . . copy http://www.stata-press.com/data/r15/dui_southern_shp.dta . . use dui_southern . spset

Create a contiguity weighting matrix with the default spectral normalization . spmatrix create contiguity W

Fit a generalized spatial two-stage least-squares regression . spivregress dui nondui vehicles i.dry (police = elect), dvarlag(W) errorlag(W)

Obtain direct, indirect, and total effects of the covariates . estat impact

Same as above estimation but add a spatial lag of the covariate dry . spivregress dui nondui vehicles i.dry (police = elect), dvarlag(W) errorlag(W) ivarlag(W: i.dry)

Obtain direct, indirect, and total effects of the covariates . estat impact

Stored results

estat impact stores the following in r():

Scalars r(N) number of observations

Macros r(vce) vcetype specified in vce() r(xvars) names of independent variables

Matrices r(b_direct) vector of estimated direct impacts r(Jacobian_direct) Jacobian matrix for direct impacts r(V_direct) estimated variance-covariance matrix of direct impacts r(b_indirect) vector of estimated indirect impacts r(Jacobian_indirect) Jacobian matrix for indirect impacts r(V_indirect) estimated variance-covariance matrix of indirect impacts r(b_total) vector of estimated total impacts r(Jacobian_total) Jacobian matrix for total impacts r(V_total) estimated variance-covariance matrix of total impacts


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